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Opening and Closing the Market: Evidence from the London Stock Exchange

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Cited by:

  1. Menkveld, Albert J., 2008. "Splitting orders in overlapping markets: A study of cross-listed stocks," Journal of Financial Intermediation, Elsevier, vol. 17(2), pages 145-174, April.
  2. Angelidis, Timotheos & Andrikopoulos, Andreas, 2010. "Idiosyncratic risk, returns and liquidity in the London Stock Exchange: A spillover approach," International Review of Financial Analysis, Elsevier, vol. 19(3), pages 214-221, June.
  3. Rajesh Acharya & Vishal Gaikwad, 2014. "Pre-open call auction and price discovery: Evidence from India," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-11, December.
  4. Eaves, James & Williams, Jeffrey & Power, Gabriel J., 2016. "Do traders strategically time their pledges during real-world Walrasian auctions?," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 109-118.
  5. Marta Khomyn, 2020. "Essays on Modern Market Structure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2020, January-A.
  6. Pagano, Michael S. & Peng, Lin & Schwartz, Robert A., 2013. "A call auction's impact on price formation and order routing: Evidence from the NASDAQ stock market," Journal of Financial Markets, Elsevier, vol. 16(2), pages 331-361.
  7. Abad, David & Pascual, Roberto, 2015. "The friction-free weighted price contribution," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 226-239.
  8. Lien, Donald & Hung, Pi-Hsia & Lin, Zong-Wei, 2020. "Whose trades move stock prices? Evidence from the Taiwan Stock Exchange," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 25-50.
  9. Hajiyev, Aghamehman & Keiber, Karl Ludwig & Luczak, Adalbert, 2024. "Tug of war with noise traders? Evidence from the G7 stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 234-243.
  10. Bruno Biais & Christophe Bisière & Sébastien Pouget, 2014. "Equilibrium Discovery and Preopening Mechanisms in an Experimental Market," Management Science, INFORMS, vol. 60(3), pages 753-769, March.
  11. repec:grz:wpsses:2012-01 is not listed on IDEAS
  12. Pagano, Michael S. & Peng, Lin & Schwartz, Robert A., 2008. "The quality of price formation at market openings and closings: Evidence from the Nasdaq stock market," CFS Working Paper Series 2008/45, Center for Financial Studies (CFS).
  13. Chelley-Steeley, Patricia L., 2008. "Market quality changes in the London Stock Market," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2248-2253, October.
  14. Selma Boussetta, 2017. "The role of pre-opening mechanisms in fragmented markets," Post-Print hal-02156145, HAL.
  15. Kandel, Eugene & Rindi, Barbara & Bosetti, Luisella, 2012. "The effect of a closing call auction on market quality and trading strategies," Journal of Financial Intermediation, Elsevier, vol. 21(1), pages 23-49.
  16. Susan Thomas, 2010. "Call auctions: A Solution to some difficulties in Indian finance," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2010-006, Indira Gandhi Institute of Development Research, Mumbai, India.
  17. Agarwalla, Sobhesh Kumar & Jacob, Joshy & Pandey, Ajay, 2015. "Impact of the introduction of call auction on price discovery: Evidence from the Indian stock market using high-frequency data," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 167-178.
  18. Park, Seongkyu “Gilbert” & Suen, Wing & Wan, Kam-Ming, 2022. "Call auction design and closing price manipulation: Evidence from the Hong Kong stock exchange," Journal of Financial Markets, Elsevier, vol. 58(C).
  19. Patricia L. Chelley†Steeley, 2015. "The Role of Pre†Existing Liquidity in Determining Pricing Efficiency and Liquidity Gains Following the Introduction of SETSmm," European Financial Management, European Financial Management Association, vol. 21(2), pages 360-376, March.
  20. Anagnostidis, Panagiotis & Kanas, Angelos & Papachristou, George, 2015. "Information revelation in the Greek exchange opening call: Daily and intraday evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 167-184.
  21. Carol Osler, 2016. "Dealer Trading at the Fix," Working Papers 101, Brandeis University, Department of Economics and International Business School.
  22. Iwatsubo, Kentaro & Rhee, S. Ghon & Zhang, Ye Zhou, 2023. "Dealership versus continuous auction: Evidence from the JASDAQ market," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
  23. Ibikunle, Gbenga, 2015. "Opening and closing price efficiency: Do financial markets need the call auction?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 208-227.
  24. Wang, Jianxin, 2014. "Overnight price discovery and the internationalization of a currency: The case of the Korean won," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 86-95.
  25. Wang, Jianxin & Yang, Minxian, 2015. "How well does the weighted price contribution measure price discovery?," Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 113-129.
  26. Sangram Keshari Jena & Ashutosh Dash, 2015. "Is call auction efficient for better price discovery?," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 5(8), pages 102-113, August.
  27. Chen, Tao & Cai, Jun & Ho, Richard Y.K., 2009. "Intraday information efficiency on the Chinese equity market," China Economic Review, Elsevier, vol. 20(3), pages 527-541, September.
  28. Jiayi Li & Sumei Luo & Guangyou Zhou, 2021. "Call auction, continuous trading and closing price formation," Quantitative Finance, Taylor & Francis Journals, vol. 21(6), pages 1037-1065, June.
  29. Carole Comerton-Forde & James Rydge & Hayley Burridge, 2007. "Not all call auctions are created equal: evidence from Hong Kong," Review of Quantitative Finance and Accounting, Springer, vol. 29(4), pages 395-413, November.
  30. Gan, Quan & Leung, Henry & Zhou, Zhou, 2021. "Do intra-day auctions improve market liquidity?," Finance Research Letters, Elsevier, vol. 40(C).
  31. Chang, Rosita P. & Rhee, S. Ghon & Stone, Gregory R. & Tang, Ning, 2008. "How does the call market method affect price efficiency? Evidence from the Singapore Stock Market," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2205-2219, October.
  32. Yiping Lin & David Michayluk & Mi Zou, 2023. "Does Random Auction Ending Curb Stock Price Manipulation?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 13(04), pages 1-33, December.
  33. Ezzat, Hassan & Kirkulak, Berna, 2014. "Information Arrival and Volatility: Evidence from the Saudi Arabia Stock Exchange (Tadawul)," MPRA Paper 61160, University Library of Munich, Germany.
  34. Chakrabarty, Bidisha & Corwin, Shane A. & Panayides, Marios A., 2011. "When a halt is not a halt: An analysis of off-NYSE trading during NYSE market closures," Journal of Financial Intermediation, Elsevier, vol. 20(3), pages 361-386, July.
  35. Laurence Lescourret, 2017. "Cold Case File? Inventory Risk and Information Sharing during the pre†1997 NASDAQ," European Financial Management, European Financial Management Association, vol. 23(4), pages 761-806, September.
  36. Dinabandhu Bag, 2019. "Information Content Of Stocks In Call Auction Of Shorter Duration In Emerging Market," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 8(4), pages 113-132.
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